Testing for the cointegrating rank of a VAR process with a time trend

DOI10.1016/S0304-4076(99)00035-4zbMath0970.62055OpenAlexW2092985583MaRDI QIDQ1971792

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 3 October 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00035-4

zbMATH Keywords

cointegrationrank testLagrange multiplier testvector autoregressive processasymptotic inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

Panel cointegration testing in the presence of a time trend ⋮ The cointegrated vector autoregressive model with general deterministic terms ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ Estimating fractional cointegration in the presence of polynomial trends ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ Improved likelihood ratio tests for cointegration rank in the VAR model ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ THE RANK OF A SUBMATRIX OF COINTEGRATION ⋮ A simple cointegrating rank test without vector autoregression ⋮ BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming ⋮ Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Cites Work

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• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• Tests for Cointegration Based on Canonical Correlation Analysis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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